Spectral methods for small sample time series: A complete periodogram approach

DOI10.1111/jtsa.12584zbMath1476.62180arXiv2007.00363OpenAlexW3123183737MaRDI QIDQ5012855

Sourav Das, Suhasini Subba Rao, Junho Yang

Publication date: 25 November 2021

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2007.00363

zbMATH Keywords

discrete Fourier transformperiodogramdata taperprediction and second-order stationary time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (1)

Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain

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